Antwort an: statalist@hsphsun2.harvard.edu
> Tobias wrote,
> > From: Tobias Rehbock [mailto:rehbock@mail.uni-greifswald.de]
> >
> > I have a problem using the granger causality test in Stata
> > 6.0. I've testet two time series named DD and DUS using
> > the command-line:
> >
> > granger DD DUS, lags(2)
> >
> > and, alternativly
> >
> > granger DD DUS, lags(3)
> >
> > For the first case, I received F=5,98 and p=0,0032 and for
> > the second case F=5,45 and p=0,0014. But there must
> > be a mistake, because it is not possible, that the second
> > F-value ist smaller than the first while the second p-value
> > also ist smaller than the first.
> > Then I tried the same test with another software (EViews4)
> > and the results were amazing: there were not only other
> > F- and p-Values, but the found causalities were the other way round.
> >
> > My questions are: Where is my mistake? And: Is it possible,
> > that granger.ado doesn't work well?
>
> There are several inconsistencies in the code of granger.ado. For starters,
> granger.ado misreports the results of the tests as the:
> Granger Causality test ... var1 ---> var2
>
> when the code is in fact testing the reverse relationship whether var2 could
> be said to Granger cause var1. I cut and pasted a new file, granger2.ado,
> which contains my suggested changes. I commented out the lines of
> granger.ado which had to be modified, followed by my modifications -- which
> appear un-indented. Granger2.ado should correspond to the Eviews output and
> is also consistent with the causality test when typed interactively (see
> below)
A lot of thanks!!!!!!!!!!!!!! It works! You are really a hero. Perhaps you should send granger2.ado to the stata download
site. Thank you very much.
Tobias
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